Efficiency in Foreign Exchange Markets
Copyright policy )Efficiency in Foreign Exchange Markets
A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and show it can be profitable following a particular trading rule.
22 pages, LaTeX, 6 eps figures, submitted to European Financial Management journal
- Polytechnic University of Milan Italy
- University of L'Aquila Italy
- Q University Kazakhstan
FOS: Economics and business, Statistical Finance (q-fin.ST), Quantitative Finance - Statistical Finance, FOS: Physical sciences, Disordered Systems and Neural Networks (cond-mat.dis-nn), Condensed Matter - Disordered Systems and Neural Networks
FOS: Economics and business, Statistical Finance (q-fin.ST), Quantitative Finance - Statistical Finance, FOS: Physical sciences, Disordered Systems and Neural Networks (cond-mat.dis-nn), Condensed Matter - Disordered Systems and Neural Networks
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).6 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Top 10% impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!